Another Hot Forex System

[JonnyT]

Hi folks,

Again trade the EUR/USD

Trade a break of the 5 minute bar at 07:00 UK time
Stop is a break in the opposite direction. Take 200 pips profit.
This is a SAR system. Take one trade in each direction if applicable.

i.e. you go long but the market reverses past the low of the 7am 5 min bar, you close the long and go short.

Has averaged 15 pips per trade 930 pips from 61 trades on current futures contract.

JonnyT

 

[3rddawn]

Hi JonnyT,

How long to trades typically last?

Is this strictly just applicable to daily FX at a spreadtrading company (typically 3-4 pip spread), or would you recommend using the quarterly rates, which, although they have a 10 pip spread, at least would allow you to keep the trade going overnight?

How long do the trades typically last?

Thanks ...

 

[JonnyT]

This is using futures. 1 pip spread.

Forgot to mention all open trades are closed at 21:00 UK time!!!

JonnyT

 

[al-motor]

JT- what have u found specific about the 7 am bar to trade this ? I know that often aroud 7/8 am GMT, there are nice moves starting, but what is specific about that ?

Also, u mention a 200 pip profit !?! I know lately the forex has moved some, but 200 pips sounds too high ?!?

I know the futures on EUR ususally have a 1 pip spread during official times 1.20-8.00 but doesnt it get wider outside that ?

Could one use a 10 min bar instead ??


keep up the good work...........
Al

 

[options]

Keep 'em coming JT. You'll have a soon have a library for fx trades.

 

[3rddawn]

Echo Al's question - 200 pips? To average only 15 pips, you must have a lot that start well, reverse through the 7am bar earning you nothing. Is that how it goes? If that's the case, isn't there something you could add to keep some hard earned pips?

If it keeps one side of that 7am line does it just run to end of day?

Do you have any more details for us JT?

Many thanks for your strategies and ideas. Always food for thought and encouragement ...

 

[JonnyT]

Yep there are a few that earn 50 pips + and reverse through the 7am bar (not that many)

I put the strategy up for debate. I have found ways to increase the win/loss ratio, reduce drawdown etc but nothing that gets near the 15 pips per trade.

Maybe you lot can?

I could post the excel spreadsheet if anyone wants to try?

JonnyT

 

[3rddawn]

I'd be very grateful if you'd post the spreadsheet ...

Thanks

 

[JonnyT]

Here is the spreadsheet

 

[JonnyT]

Do not pass go, collect 200 pips...

JonnyT

 

[options]

Lol, yeah it's been a good day, no matter what system you are trading. As long as no one held longs from yesterday with no stops.

God bless Alan Greenspan!

 

[schoe]

Where do you place the stop on this system Jonny. You say take one trade in each direction what happens if it reverses more than once do you put the stop at the high/low and when do you put in on as if it reverse the stop could potentially be very close or wide depending on the size of the five minute bar.

 

[JonnyT]

The biggest stop has been 21 points.

On average it is 6 or 7 pips.

The system can be made more robust with a little work...

JonnyT

 

[3rddawn]

Possible Data Discrepancy

Hi JonnyT,

Am finally getting round to looking at the Visual Basic code and have found something that puzzles me ...

Near the top you have
If Hour(Cells(x, 2)) = 2 And Minute(Cells(x, 2)) < 5
I presume this identifies the time slot for analysing the range at 7am-7:05am.

Later on, where you have the latest exit trade times, it says
If Hour(Cells(x, 2)) = 21
In your commentary, you said we take the 7am UK as start and 21:00 UK as the end.

In the text at the top of the VB it explains that hour 2 is US time but hour 16 is the close - How come you use hour=2 as the start and hour=21 as the end hours?
Shouldn't it be using hour 16 to exit the trades if done on timeout.

Many thanks
3rddawn

P.S. Have run it with hour 16 at end points and results in 13.77 pips per trade over 61 trades. Does this sound right?

 

[JonnyT]

I have played about with the spreadsheet!!!

Change the hours and see what difference it makes...

JonnyT

 

[KIMMRUNNER]

Johnny T:

What is your source for the FOREX data:

DO you have XLS data for several years data on EURUSD
on a less frequent intraday & if so any chance you can post it?

Thanks in anticipation

 

[rog1111]

Jonny

There are 10 winners & 51 losers - psychologically quite a tough system to trade with I think. Also, I doubt whether in practice 3 / 5 pip losers are realistic, taking into account the bid/ask spread, even if you use stop orders. I'd be interested to see the result using a longer bar time with wider stops.

Roger

 

[JonnyT]

5 pip losers are absolutely realistic using futures with a 1 pip spread.

My core trading strategy uses a 5 pips stop loss.

JonnyT

 

[KIMMRUNNER]

An interesting mod - over 50 points/trade

I have played about with the spreadsheet

(a) allowing the period within which the band is established for breakout, and the time of closing of trade are read in from the sheet itself
(b) to record time of entry of trade
(c) to clear old data
(d) execute on CTRL shift Q

To modify time of exit from 21:00 it is important to block trades that start after the closing time.

Pretty much confirms other results

An interesting diversion is to only enter a trade when it has moved a significant distance already:

See the attached run data - only hopping on to a trend if it has moved 100 ticks in either direction from the position at 8.0am - interestingly this gives the highest points/trade - rarely suffers a reversal ( and no whipsaws) although does not trade every day


Johnny : any chance you can post the data back to september to allow more rigorous testing?

 

[Goober]

Kimmrunner

Excellent macro! I was able to squeeze out a couple more points per trade by reducing profittarget to 0.012 to filter out eod reversals. Average trade 52.92 over 13 trades. An extended back-test would be interesting.

Goober.